Hello, I have the following possibly simple coding problem. Let's assume that I perform a Walk-Forward Optimization with the first in-sample period from 01/01/2000 to 31/12/2000 with a step of 3 months. When using Easy mode (EOD) and checking "Use today", the end day for the last IS and OOS periods is 30/09/2008.
So both IS and OOS equity are calculated by AB up to 30/09/2008 - but from 01/10/2008 until today both are nevertheless plotted as horizontal lines. This means that the metrics (like CAR) calculated for, e.g., OOS equity are incorrect if the range from OOS[0] to the last value of OOS is used. Correct would be using the range from OOS[0] to OOS[30/09/2008]. A similar problem arises if I want to show the Relative Performance of the trading system by plotting the ratio OOS equity/C. For the period from 01/10/2008 until today this line makes no sense at all. So my problem is: How can I programatically find the end day for the last IS and OOS periods in order to calculate the metrics in a correct way? And how can I plot the Relative Performance line only up to that date? Greetings, Thomas
